Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.4005
Annualized Std Dev 0.8182
Annualized Sharpe (Rf=0%) -0.4895

Row

Daily Return Statistics

Close
Observations 3111.0000
NAs 1.0000
Minimum -0.4767
Quartile 1 -0.0248
Median -0.0011
Arithmetic Mean -0.0007
Geometric Mean -0.0020
Quartile 3 0.0220
Maximum 0.6047
SE Mean 0.0009
LCL Mean (0.95) -0.0025
UCL Mean (0.95) 0.0011
Variance 0.0027
Stdev 0.0515
Skewness 0.6458
Kurtosis 15.0695

Downside Risk

Close
Semi Deviation 0.0352
Gain Deviation 0.0410
Loss Deviation 0.0360
Downside Deviation (MAR=210%) 0.0399
Downside Deviation (Rf=0%) 0.0355
Downside Deviation (0%) 0.0355
Maximum Drawdown 0.9988
Historical VaR (95%) -0.0729
Historical ES (95%) -0.1144
Modified VaR (95%) -0.0599
Modified ES (95%) -0.0599
From Trough To Depth Length To Trough Recovery
2008-11-21 2021-03-12 NA -0.9988 3102 3096 NA
2008-11-13 2008-11-13 2008-11-20 -0.3520 6 1 5
2008-11-07 2008-11-07 2008-11-12 -0.1077 4 1 3

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2008 NA NA NA NA NA NA NA NA NA NA 25.5 -4 20.5
2009 3.2 7.9 -6.2 -8.6 -10 0 -1.8 5.7 7.9 10.7 -4.1 2.2 4.4
2010 -9.1 -2.8 -5.2 3.4 12.7 1.3 0.8 -10.7 -3.7 -1 -8.5 -0.4 -22.7
2011 -5.1 4.8 -1 -5 6.6 -3.1 0.6 2.6 8.8 9.5 0.3 -0.1 18.9
2012 -1.1 -2.7 -2 -4.1 7 -8.7 -1.7 -2.7 -1.8 -1.9 0.4 -6.5 -23.7
2013 -3 0.7 0.7 4.6 6.1 -2.2 -5 0.1 -2.2 0.9 0.5 -2.7 -2
2014 4.2 -1.7 -1.7 0.8 0.1 -0.2 2.4 -1.7 6 -6.1 -1.2 2.3 2.7
2015 -2.7 1.3 -0.7 -0.8 0.5 3.7 6.4 10.8 -0.5 -2 -2.3 -1.4 12
2016 5 -7.2 4.3 0.5 -0.6 -1.8 9.9 0.8 -4.1 -0.2 -0.9 0.6 5.3
2017 2.2 -6.2 0.8 0.6 -1.8 -1.4 0.2 -3 -0.1 -3.4 -2.5 0.7 -13.2
2018 -3 0.7 -6.2 1.8 -1.5 -1.9 4.1 2.4 -4.3 -2.4 0.9 -0.9 -10.3
2019 -5.4 -5.5 -4.1 6.2 5.1 -0.6 6.9 -0.1 6.8 -7.4 2.8 -1.9 1.4
2020 9.3 -3.4 10.8 11.5 -3.3 4.8 1.4 1.3 6.7 -0.8 -0.8 1.9 45.1
2021 -1.1 -4.9 -0.3 NA NA NA NA NA NA NA NA NA -6.3

Row

Price Chart

# tidytable [6 × 21]
  datadate    Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>      <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2008-11-06 10251. SPY    90.9 -0.0554  -0.0565  -0.0682   -0.298   -0.386   -0.256   -0.142 GLD    72.2 -0.008   -0.0067
2 2008-11-07  9147. SPY    93.9  0.033   -0.0307   0.0348   -0.282   -0.362   -0.232   -0.118 GLD    72.5  0.0039   0.0163
3 2008-11-10  9195. SPY    92.6 -0.0131  -0.0461   0.0467   -0.284   -0.362   -0.242   -0.123 GLD    73.6  0.0149   0.0349
4 2008-11-11  9756. SPY    89.8 -0.0309  -0.106   -0.114    -0.302   -0.375   -0.266   -0.146 GLD    72.0 -0.0208  -0.0454
5 2008-11-12 12138. SPY    85.8 -0.044   -0.108   -0.140    -0.338   -0.420   -0.304   -0.184 GLD    70   -0.0285  -0.0385
6 2008-11-13  7866. SPY    91.2  0.0623   0.0034   0.0128   -0.300   -0.383   -0.263   -0.143 GLD    72.2  0.0307  -0.001 
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart